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Macroeconomic Factors Do Influence Aggregate Stock Returns

Citations

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Cited by:

  1. von der Gracht, Heiko A. & Hommel, Ulrich & Prokesch, Tobias & Wohlenberg, Holger, 2016. "Testing weighting approaches for forecasting in a Group Wisdom Support System environment," Journal of Business Research, Elsevier, vol. 69(10), pages 4081-4094.
  2. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
  3. Lepori, Gabriele M., 2015. "Investor mood and demand for stocks: Evidence from popular TV series finales," Journal of Economic Psychology, Elsevier, vol. 48(C), pages 33-47.
  4. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
  5. Joshua Huang & Teresa Serra & Philip Garcia, 2023. "“Fast money” around Federal Statistics Releases," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(4), pages 1248-1266, August.
  6. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
  7. Naifar, Nader, 2016. "Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 29-39.
  8. Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
  9. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  10. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
  11. Xinsheng Lu & Ying Zhou & Mingting Kou, 2013. "The Impact of Monetary Policy Surprises on Australian Financial Futures Markets," Working Papers 2013-01, Auckland University of Technology, Department of Economics.
  12. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  13. Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 307-325, October.
  14. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  15. Martin Širůček, 2013. "Impact of money supply on stock bubbles," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2835-2842.
  16. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  17. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
  18. Zhengyang Dong, 2018. "Dynamic Advisor-Based Ensemble (dynABE): Case study in stock trend prediction of critical metal companies," Papers 1805.12111, arXiv.org, revised Feb 2019.
  19. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  20. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
  21. Kari Harju & Syed Mujahid Hussain, 2011. "Intraday Seasonalities and Macroeconomic News Announcements," European Financial Management, European Financial Management Association, vol. 17(2), pages 367-390, March.
  22. Bouaddi, Mohammed & Taamouti, Abderrahim, 2013. "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2943-2962.
  23. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  24. Leuz, Christian, 2007. "Was the Sarbanes-Oxley Act of 2002 really this costly? A discussion of evidence from event returns and going-private decisions," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 146-165, September.
  25. Chang, Tsangyao & Chen, Wen-Yi & Gupta, Rangan & Nguyen, Duc Khuong, 2015. "Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test," Economic Systems, Elsevier, vol. 39(2), pages 288-300.
  26. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
  27. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.
  28. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 185-207, December.
  29. S. S. Vinokurov & A.A. Medved & L. A. Mierin, 2018. "Economic News and Household Decisions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
  30. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
  31. Azamat Abdymomunov & Filippo Curti & Atanas Mihov, 2020. "U.S. Banking Sector Operational Losses and the Macroeconomic Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(1), pages 115-144, February.
  32. Maximilian Renz & Olaf Stotz, 2021. "A macroeconomic hedge portfolio and the cross section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 73-94, January.
  33. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Darmstadt Discussion Papers in Economics 159, Darmstadt University of Technology, Department of Law and Economics.
  34. Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012. "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, vol. 64(5), pages 323-337.
  35. Chen, Chang-Chih & Shyu, So-De & Wu, Yen-Chun & Yang, Chih-Yuan, 2011. "A waste management model for optimal recycling-landfilling policies under macroeconomic conditions," Economic Modelling, Elsevier, vol. 28(3), pages 852-858, May.
  36. Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  37. Algia Hammami & Ameni Ghenimi & Abdelfattah Bouri, 2015. "Relation Between Risk And Return In Tunisian’S Stock Market After The Revolution (During Political Instability)," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 6(1), December.
  38. Elder, John & Miao, Hong & Ramchander, Sanjay, 2012. "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 51-65.
  39. Drobetz, Wolfgang & El Ghoul, Sadok & Guedhami, Omrane & Janzen, Malte, 2018. "Policy uncertainty, investment, and the cost of capital," Journal of Financial Stability, Elsevier, vol. 39(C), pages 28-45.
  40. Hess, Martin K., 2004. "Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 455-471, December.
  41. Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(2), June.
  42. Shi, Qi, 2020. "A much robust and updated evidences of the alternative real-estate based asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  43. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012. "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
  44. Yiwen (Paul) Dou & David R. Gallagher & David Schneider & Terry S. Walter, 2012. "Out-of-sample stock return predictability in Australia," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 461-479, December.
  45. Fatum, Rasmus & Scholnick, Barry, 2008. "Monetary policy news and exchange rate responses: Do only surprises matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
  46. Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 470-493, October.
  47. Hasan, M.Emrul, 2010. "Behavioral approach to Arbitrage Pricing Theory," MPRA Paper 26343, University Library of Munich, Germany.
  48. Chan-Lau, Jorge A. & Liu, Estelle X. & Schmittmann, Jochen M., 2015. "Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis," Journal of Financial Stability, Elsevier, vol. 16(C), pages 164-172.
  49. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
  50. Tanseli Savaser & Elif Şişli-Ciamarra, 2017. "Managerial Performance Incentives and Firm Risk during Economic Expansions and Recessions," Review of Finance, European Finance Association, vol. 21(2), pages 911-944.
  51. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  52. Pooja Joshi & A K Giri, 2015. "Dynamic Relations between Macroeconomic Variables and Indian Stock Price: An Application of ARDL Bounds Testing Approach," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(10), pages 1119-1133, October.
  53. Aiman, Muhammad & Masih, Mansur, 2018. "Impact of macroeconomic factors on shariah and conventional stocks: Malaysian evidence," MPRA Paper 111736, University Library of Munich, Germany.
  54. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
  55. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
  56. Sirucek, Martin, 2012. "The impact of money supply on stock prices and stock bubbles," MPRA Paper 40919, University Library of Munich, Germany.
  57. Gabriele M. Lepori, 2021. "A nonrandom walk down Hollywood boulevard: Celebrity deaths and investor sentiment," The Financial Review, Eastern Finance Association, vol. 56(3), pages 591-613, August.
  58. Numan Ülkü & Kexing Wu, 2023. "Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(5), pages 1-25, September.
  59. Semen Son-Turan, 2016. "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, vol. 8(1), pages 4-18, April.
  60. Tolga Cenesizoglu, 2010. "The Reaction of Stock Returns to News about Fundamentals," Cahiers de recherche 1032, CIRPEE.
  61. Celebi, Kaan & Hönig, Michaela, 2018. "Dynamic macroeconomic effects on the German stock market before and after the financial crisis," Working Paper Series 13, Frankfurt University of Applied Sciences, Faculty of Business and Law.
  62. Gilbert, Thomas, 2011. "Information aggregation around macroeconomic announcements: Revisions matter," Journal of Financial Economics, Elsevier, vol. 101(1), pages 114-131, July.
  63. Ming Chen, James, 2018. "Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 263-276, Enero.
  64. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
  65. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
  66. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
  67. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
  68. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  69. Iuliia Brushko & Ms. Yuko Hashimoto, 2014. "The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members," IMF Working Papers 2014/074, International Monetary Fund.
  70. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  71. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
  72. Lv, Wendai & Qi, Jipeng, 2022. "Stock market return predictability: A combination forecast perspective," International Review of Financial Analysis, Elsevier, vol. 84(C).
  73. Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015. "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 1-14.
  74. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016. "Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 180-188.
  75. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
  76. Lapp, John S. & Pearce, Douglas K., 2012. "The impact of economic news on expected changes in monetary policy," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 362-379.
  77. Sirucek, Martin, 2012. "Macroeconomic variables and stock market: US review," MPRA Paper 39094, University Library of Munich, Germany.
  78. Grigaliuniene, Zana & Celov, Dmitrij & Hartwell, Christopher A., 2020. "The more the Merrier? The reaction of euro area stock markets to new members," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
  79. Nyborg, Kjell G., 2017. "Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 198-214.
  80. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
  81. Yang, Jianlei, 2023. "Financial stabilization policy, market sentiment, and stock market returns," Finance Research Letters, Elsevier, vol. 52(C).
  82. Syed Jawad Hussain Shahzad & Dene Hurley & Román Ferrer, 2021. "U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3569-3587, July.
  83. Smales, Lee A. & Yang, Yi, 2015. "The importance of belief dispersion in the response of gold futures to macroeconomic announcements," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 292-302.
  84. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  85. Zhengyang Dong, 2019. "Dynamic Advisor-Based Ensemble (dynABE): Case study in stock trend prediction of critical metal companies," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-33, February.
  86. Qureshi, Fiza & Khan, Habib Hussain & Rehman, Ijaz Ur & Ghafoor, Abdul & Qureshi, Saba, 2019. "Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification," Economic Systems, Elsevier, vol. 43(1), pages 130-150.
  87. Tho D.Q. Nguyen & Jian Wu, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Economics Bulletin, AccessEcon, vol. 30(3), pages 1753-1771.
  88. Peiró, Amado, 2016. "Stock prices and macroeconomic factors: Some European evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 287-294.
  89. Gustavo S Cortes & Marc D Weidenmier, 2019. "Stock Volatility and the Great Depression," The Review of Financial Studies, Society for Financial Studies, vol. 32(9), pages 3544-3570.
  90. Allan W. Gregory & Hui Zhu, 2014. "Testing the value of lead information in forecasting monthly changes in employment from the Bureau of Labor Statistics," Applied Financial Economics, Taylor & Francis Journals, vol. 24(7), pages 505-514, April.
  91. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  92. repec:zbw:bofitp:2014_006 is not listed on IDEAS
  93. Birz, Gene, 2017. "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 87-102.
  94. Beber, Alessandro & Brandt, Michael W. & Luisi, Maurizio, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, Elsevier, vol. 117(3), pages 489-507.
  95. Md. Mohiuddin & Md. Didarul Alam & Abdullah Ibneyy Shahid, 2008. "An Empirical Study of the Relationship between Macroeconomic Variables and Stock Price: A Study on Dhaka Stock Exchange (DSE)," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-21, American International University-Bangladesh (AIUB), Office of Research and Publications (ORP), revised Jun 2008.
  96. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  97. Wan, Yang & Clutter, Michael L. & Siry, Jacek P. & Mei, Bin, 2013. "Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010," Forest Policy and Economics, Elsevier, vol. 28(C), pages 15-22.
  98. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
  99. Saliu Mojeed Olanrewaju & Ogunleye Edward Oladipo, 2021. "Asymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries," Business and Economic Research, Macrothink Institute, vol. 11(2), pages 90-122, June.
  100. Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014. "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers 24516, East Asian Bureau of Economic Research.
  101. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2011. "Impact of the domestic and the US macroeconomic news on the Romanian stock market," MPRA Paper 41623, University Library of Munich, Germany, revised 08 Sep 2011.
  102. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
  103. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
  104. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
  105. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
  106. Viet Anh Nguyen & Fan Zhang & Shanshan Wang & Jose Blanchet & Erick Delage & Yinyu Ye, 2021. "Robustifying Conditional Portfolio Decisions via Optimal Transport," Papers 2103.16451, arXiv.org, revised Apr 2024.
  107. Samih Antoine Azar, 2022. "Canada: The Inflation Irrelevance Proposition," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 8(4), pages 104-111, 12-2022.
  108. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  109. Dodig,Ante, 2020. "Relationship between Macroeconomic Indicators and Capital Markets Performance in Selected Southeastern European Countries," Policy Research Working Paper Series 9323, The World Bank.
  110. GIRI A. K. & JOSHI Pooja, 2017. "The Impact Of Macroeconomic Indicators On Indian Stock Prices: An Empirical Analysis," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 61-78, April.
  111. repec:jns:jbstat:v:227:y:2007:i:1:p:3-26 is not listed on IDEAS
  112. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
  113. William M. Cready & Umit G. Gurun, 2010. "Aggregate Market Reaction to Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 289-334, May.
  114. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
  115. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
  116. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "What Moves the DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
  117. Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, February.
  118. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
  119. Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
  120. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  121. Robert Faff & David R. Gallagher & Eliza Wu, 2005. "Tactical Asset Allocation: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 261-282, December.
  122. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
  123. Don Bredin & Caroline Gavin & Gerard O Reilly, 2003. "The Influence of Domestic and International Interest Rates on the ISEQ," The Economic and Social Review, Economic and Social Studies, vol. 34(3), pages 249-265.
  124. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  125. Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2021. "Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1593-1621, May.
  126. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 35-48, March.
  127. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2019. "Day-of-the-week effects in financial contagion," Finance Research Letters, Elsevier, vol. 28(C), pages 221-226.
  128. M. Kabir Hassan & William J. Hippler III, 2013. "The Pronounced Impact of Macroeconomic Stress on the Financial Sector: Implications for Real Sector Growth," NFI Working Papers 2013-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
  129. Hartwell, Christopher A., 2018. "The impact of institutional volatility on financial volatility in transition economies," Journal of Comparative Economics, Elsevier, vol. 46(2), pages 598-615.
  130. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
  131. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
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